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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket; Virmani, Vineet - In: The journal of financial market infrastructures 10 (2022) 4, pp. 29-53
Persistent link: https://www.econbiz.de/10014538750
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Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses : a Monte Carlo investigation
Varma, Jayanth Rama; Virmani, Vineet - In: The journal of financial market infrastructures 10 (2021) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10013530785